Article2011

Estimation and Evaluation of Conditional Asset Pricing Models

138 citations0/0 files storedThe Journal of Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

ABSTRACT We find that several recently proposed consumption‐based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model‐implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these conclusions, we construct an optimal Generalized Method of Moments (GMM) estimator for models in which the stochastic discount factor (SDF) is a conditionally affine function of a set of priced risk factors, and we show that there is an optimal choice of managed portfolios to use in testing a null model against a proposed alternative generalized SDF.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 138 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 2002Dynamic Conditional Correlation 1996Multifactor Explanations of Asset Pricing Anomalies 2003Liquidity Risk and Expected Stock Returns 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1996The Conditional CAPM and the Cross-Section of Expected Returns 2001Consumption, Aggregate Wealth, and Expected Stock Returns

Cited by

2011Estimation of Jump Tails 2013Advances in Consumption-Based Asset Pricing: Empirical Tests 2013Asset Pricing Without Garbage 2020Factor Timing 2015Regression-based estimation of dynamic asset pricing models 2012Commodity Trade and the Carry Trade: A Tale of Two Countries 2013Empirical Cross-Sectional Asset Pricing

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.